All the Elder Scrolls games which goes through Morrowind and Oblivion.(You can get Elder Scrolls: Arena, and Elder Scrolls II: Daggerfall for free on the Bethesta sight) The GTA games are also in a sandbox free-roam setting, mainly after GTA: III.
Defiantly gta IV, i actually just played about 2 hours of it driving around killing rival taxi cab drivers for roman ( I call them rival anyways... little role play never hurts )
Er theres everquest 2 that you free roam during the story line which really never ends unless you beat every quest or you beat every monster,instances,w.e its awesome you can go to 80 or 90